Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3157 |
| Annualized Std Dev | 0.4652 |
| Annualized Sharpe (Rf=0%) | -0.6786 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3644.0000 |
| NAs | 1.0000 |
| Minimum | -0.2546 |
| Quartile 1 | -0.0146 |
| Median | -0.0021 |
| Arithmetic Mean | -0.0011 |
| Geometric Mean | -0.0015 |
| Quartile 3 | 0.0110 |
| Maximum | 0.2434 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0020 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0009 |
| Stdev | 0.0293 |
| Skewness | 0.2409 |
| Kurtosis | 10.3027 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0201 |
| Gain Deviation | 0.0236 |
| Loss Deviation | 0.0209 |
| Downside Deviation (MAR=210%) | 0.0252 |
| Downside Deviation (Rf=0%) | 0.0206 |
| Downside Deviation (0%) | 0.0206 |
| Maximum Drawdown | 0.9981 |
| Historical VaR (95%) | -0.0409 |
| Historical ES (95%) | -0.0678 |
| Modified VaR (95%) | -0.0411 |
| Modified ES (95%) | -0.0411 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-15 | NA | -0.9981 | 3050 | 3045 | NA |
| 2006-07-24 | 2008-06-05 | 2008-10-06 | -0.3980 | 556 | 471 | 85 |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3409 | 17 | 6 | 11 |
| 2008-10-13 | 2008-10-13 | 2008-10-23 | -0.2129 | 9 | 1 | 8 |
| 2006-07-19 | 2006-07-19 | 2006-07-21 | -0.0458 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | 1.7 | -0.9 | 1.2 | 2.6 | 0.7 | 1.7 | 7.2 |
| 2007 | -2.3 | 1.1 | -0.6 | -0.8 | -1 | 0 | -1.2 | -2.7 | -2.5 | 4.8 | -2 | 1.5 | -5.9 |
| 2008 | -5.6 | 4.2 | -7 | -2.2 | -1.4 | 0.1 | 0.7 | 1.9 | 2.2 | -6.2 | 20.7 | -4.2 | 0.4 |
| 2009 | 5.5 | 1.1 | -2.6 | 0.4 | -6.7 | -2 | 0.1 | 4.5 | 6 | 5.6 | -2.9 | 2.7 | 11.4 |
| 2010 | -2.9 | -3.4 | -1.8 | 3.9 | 5.3 | 1.2 | -0.3 | -6.6 | -0.4 | 0.1 | -4.3 | 1.1 | -8.4 |
| 2011 | -3.1 | 3.3 | -1.4 | -0.4 | 4.9 | -3.4 | 1.7 | 3.2 | 5.8 | 6.5 | 1.2 | 0.5 | 19.8 |
| 2012 | -4 | -1.7 | 0.1 | -1 | 6.4 | -5.7 | 1.8 | -1.1 | 0.9 | -4.8 | 0 | -3.4 | -12.5 |
| 2013 | -1.7 | 0.3 | 2.2 | 3.4 | 1.6 | -2.4 | -4.5 | 3 | -2.6 | -0.1 | 0.8 | -0.7 | -1 |
| 2014 | 0.3 | -0.3 | -1.8 | -0.5 | 0.3 | -1.6 | 0.4 | -1 | 2.7 | -2.4 | 2.5 | 2 | 0.5 |
| 2015 | 2.9 | 0.6 | 0.8 | -1.8 | -0.3 | -0.9 | -0.3 | 5.7 | 0.5 | 0.2 | -1.6 | 2 | 7.9 |
| 2016 | 0.3 | -3.8 | -1 | 1.4 | -0.7 | -0.4 | 0.8 | -0.1 | -2.5 | 2.1 | 0.7 | 1.4 | -1.8 |
| 2017 | -1.2 | -3.2 | 0 | -0.4 | -0.3 | 0 | -0.1 | -0.9 | -1.9 | -0.2 | 1.1 | 0.5 | -6.4 |
| 2018 | 0.3 | -0.8 | 0.1 | 1.6 | -0.6 | -0.5 | 0.6 | -0.4 | 2 | -4.3 | -1.4 | -1.8 | -5.2 |
| 2019 | -0.5 | -1.4 | -2.8 | 2.2 | 2.1 | -0.6 | 3.7 | -0.5 | 3.7 | -3 | 2 | -0.4 | 4.2 |
| 2020 | 3.8 | 4.5 | 11.6 | 7.3 | -1.9 | 1.2 | 1.7 | -1.5 | -2.6 | 1.7 | -2.5 | -0.5 | 24 |
| 2021 | -4.4 | -5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -9.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-07-13 2375. SPY 124 -0.0163 -0.027 0.0118 -0.0379 0.0128 0.231 0.0416 GLD 65.6 0.0097 0.0401
2 2006-07-14 2421. SPY 124. -0.0039 -0.0244 0.0002 -0.0403 0.005 0.229 0.0319 GLD 65.8 0.0046 0.0514
3 2006-07-17 2442. SPY 123. -0.0015 -0.0277 -0.022 -0.0413 0.0041 0.234 0.043 GLD 64.0 -0.0289 0.0311
4 2006-07-18 2447. SPY 124. 0.0051 -0.027 -0.0055 -0.0515 0.0132 0.259 0.0472 GLD 62.9 -0.0164 -0.0143
5 2006-07-19 2335. SPY 126. 0.0139 -0.00290 0.0163 -0.0402 0.0217 0.263 0.0371 GLD 64.0 0.018 -0.0137
6 2006-07-20 2432. SPY 125. -0.0068 0.0067 0.006 -0.048 0.0113 0.270 0.0212 GLD 62.5 -0.0233 -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
